haku: @author French, K.R. / yhteensä: 6
viite: 5 / 6
| Tekijä: | Fama, E.F. French, K.R. |
| Otsikko: | Common risk factors in the returns on stocks and bonds |
| Lehti: | Journal of Financial Economics
1993 : VOL. 33:1, p. 3-56 |
| Asiasana: | finance stock returns risk |
| Kieli: | eng |
| Tiivistelmä: | In this paper, five common risk factors are identified in the returns on stocks and bonds. There are three stock-market factors (henceforth as: s-m-fcts.): an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors (as: b-m-fcts.), related to maturity and default risks. Stock returns have shared variation due to the s-m-fcts., and they are linked to bond returns through shared variation in the b-m-fcts. Except for low-grade corporates, the b-m-fcts. capture the common variation in bond returns. Most important, the five factors seem to explain average returns on stocks and bonds. |
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